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Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion

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  • Sivagowry Sriananthakumar
  • Param Silvapulle

Abstract

This paper models dynamic correlations between the Asian stock market returns and studies their behaviour over the period before, during and after the Asian financial crisis, which occurred in the 1990s. To establish the presence of contagion effect, this paper investigates whether or not there is a break-down in the correlation data generating process, particularly, during crises. The East Asian block-Thai, Malaysian, Indonesian and Korean-countries stock markets were considered in this study. Using multivariate generalised autoregressive conditional heteroscedasticity (MGARCH) models with dynamic correlations, this study finds strong evidence of contagion effects between (Thailand and Malaysia), (Thailand and Korea), (Malaysia and Korea) and (Korea and Indonesia).

Suggested Citation

  • Sivagowry Sriananthakumar & Param Silvapulle, 2008. "Multivariate conditional heteroscedasticity models with dynamic correlations for testing contagion," Applied Financial Economics, Taylor & Francis Journals, vol. 18(4), pages 267-273.
    • Handle: RePEc:taf:apfiec:v:18:y:2008:i:4:p:267-273
    DOI: 10.1080/09603100500414628
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    Cited by:

    1. Berger, Dave & Turtle, H.J., 2011. "Emerging market crises and US equity market returns," Global Finance Journal, Elsevier, vol. 22(1), pages 32-41.
    2. Neha Seth & Monica Sighania, 2017. "Financial market contagion: selective review of reviews," Qualitative Research in Financial Markets, Emerald Group Publishing Limited, vol. 9(4), pages 391-408, November.

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